DOS games and many older Windows 95 era games can't find Steam, even if you launch a game from Steam. I think this might be the problem, DOSBox (the emulator packed with the game) is loading up, not finding the game's location where it thinks it is and then closing down again.

You have to add the Steam path to your environment variables, registering Steam's location so that programs can find it.

open the steam gamefolder of Xcom UFO Defence.then open the file dosbox.config with an editor .now you see on the first page:output=surfacechange that to output=opengl or output=ddrawnow safe the file.now give it a try again.